Can I cut a hole in a mesh using only a subsurf modifier?
What you see in the manual example is currently (2.75) still achievable (and probably will be for long time..).

If your test has not the same result, maybe you should check the mesh. Notice in the image below how the presence of an additional vertex near the cursor led to a non-rounded edge (as like a loopcut would do) while in the other side the edge is rounded.



You may want to remove doubles, look for hidden vertices/edge/faces, check topology in general...